BuySellVolume on 1-tick chart does not plot for every tick

[MikeInMA]

I was wondering about replicating time and sales in a way that would let me scroll back as far as I wanted and that would also keep updating even when a workspace was open but wasn't the active workspace. My thought was that the BuySellVolume indicator on a 1-tick chart should do the trick. And I still think I'm correct! However, in practice there were gaps in the BuySellVolume plot.

The screen shot below shows a 1-tick TF chart with BuySellVolume, along with a corresponding T&S window. The ticks on the chart match T&S. However, there isn't a BuySellVolume plot for every tick. (Or is volume sometimes coming through as 0??)

I tested this with CalculateOnBarClose set to False and then set to True just out of curiosity. The attached screen shot happens to have COBC set to True, though the result was the same in both cases.

[NinjaTrader_Chip]

Hello

Thank you for your post.

It is possible in certain instances when there will not be a plot for each tick since trades in between the market are ignored by this indicator. Trades are categorized as buy (taking place at or above the ask price) or sell (at or below the bid). Without knowing what the current market was for the ticks on the chart/plot here, I am inclided to believe that is what may be taking place.

[MikeInMA]

On the T&S window I have the "between" fore color set to black. There are no black entries in the T&S display, so I'm pretty confident the gaps in the indicator do not correspond to trades between the market.

Can you test this, please? It's one chart with one indicator....

[NinjaTrader_Chip]

hello


I tested this using the default T&S settings – see screenshot

The result is consistent with the definition given in the NinjaTrader 7 Help Guide at the following resource link:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?power_volume_indicators.htm

Please let me know if I can answer any additional questions.

[MikeInMA]

The attached screen shot shows how my T&S window is defined. Am I correct that you would expect the gaps I see in BuySellVolume to correspond to T&S entries where the font color is black? If so, please tell my why I don't see that. Because if the T&S definition is reasonable, you can see in my earlier screen shot that there are no T&S entries that are black.

[NinjaTrader_Chip]

Hello

What I would suggest is that you bring up a duplicate T&S (for TF) & use the NinjaTrader ‘default’ settings. This should allow you an accurate reference for your color rules/filters.

Please let me know if I can answer any additional questions.

[MikeInMA]

So if you don't use the default T&S colors then T&S might not work correctly?

I don't want to change colors, and I think my prior question is valid. You can see what my T&S window looked like, and you can see how my T&S window is configured, so it's starting to look like there's a bug in BuySellVolume, a bug in T&S windows, or a discrepancy between what T&S displays and what BuySellVolume receives.

[NinjaTrader_Chip]

Hello

No - I’m not suggesting that. It was just to give you an option against which to check your settings versus the indicator & independently verify.

Please keep us posted & if we can assist with anything going forward.

[TAJTrades]

WOW! The BuySellVolume indicator that comes with NT does not match the T&S windows for trades at the Bid or Ask. I am using the default settings for the T&S as well as the indicator.

Am I not doing something correctly?

Is there a way to access the T&S Window to get accurate data?

I have attached some pics to demonstrate and explain.

Thanks for the help.

Forgot. That is a 1 Tick chart so it should be synced with the Time and Sales Window.

[NinjaTrader_Brett]

Hello,

We have analyzed this and this appears to be a type of race condition. This race condition deals with when OnBarUpdate runs vs when OnMarketData() runs is our first analysis that could explain why this is occurring. Since when OnBarUpdate() runs it could be slightly delayed depending on CPU load when the ASK/BID value would have changed at that time since we access the values directly from OnMarketData()

The workaround to prevent this from occurring if this is indeed the true cause is to get these values and compute this data directly in OnMarketData() and keep all your counters here. Though this code more then likely is difficult to create.

I have put this on my list to check into with development to confirm this analysis and see if anything could be done with our BuySellPressure indicator. This will most likely be after the holidays.

-Brett

[TAJTrades]

Thanks Brett,

Thought that might be the case. I will will try a few different things to see if I can eliminate some of the issues.

What I am not familiar with, is there a way to access the T&S Window directly? If it is possible but not officially supported that is fine. I will go search. If there is absolutely no way to do this then please let me know. Have no desire to chase the rabbit down the hole if no solution exist.

[NinjaTrader_RyanM1]

Hi TAJTrades,

You can't access the T&S screen directly, but the information within would be built from an OnMarketData() stream.

http://www.ninjatrader.com/support/helpGuides/nt7/onmarketdata.htm